Asset Pricing with Matrix Jump Diffusions

2008 ◽  
Author(s):  
Markus Leippold ◽  
Fabio Trojani
Keyword(s):  
Asset Pricing ◽  
Jump Diffusions

scholarly journals Transform Analysis and Asset Pricing for Affine Jump-Diffusions

10.3386/w7105 ◽  
1999 ◽  
Author(s):  
Darrell Duffie ◽  
Jun Pan ◽  
Kenneth Singleton
Keyword(s):  
Asset Pricing ◽  
Jump Diffusions

scholarly journals Transform Analysis and Asset Pricing for Affine Jump-diffusions

Econometrica ◽  
2000 ◽  
Vol 68 (6) ◽  
pp. 1343-1376 ◽  
Author(s):  
Darrell Duffie ◽  
Jun Pan ◽  
Kenneth Singleton
Keyword(s):  
Asset Pricing ◽  
Jump Diffusions

scholarly journals Fourier inversion formulas for multiple-asset option pricing

2015 ◽  
Vol 19 (5) ◽  
Author(s):  
Bruno Feunou ◽  
Ernest Tafolong
Keyword(s):  
Asset Pricing ◽  
Option Pricing ◽  
Expiration Date ◽  
Fourier Inversion ◽  
Jump Diffusions ◽  
Underlying Asset ◽  
Inversion Formulas

AbstractPlain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well known result of Duffie, Pan, and Singleton (Duffie, D., J. Pan, and K. Singleton. 2000. “Transform Analysis and Asset Pricing for Affine Jump-Diffusions.”

scholarly journals Transform Analysis and Asset Pricing for Affine Jump-Diffusions

1999 ◽  
Author(s):  
Darrell Darrell Duffie ◽  
Jun Pan ◽  
Kenneth J. Singleton
Keyword(s):  
Asset Pricing ◽  
Jump Diffusions

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

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